What steps we should take further in this case?
If we make a police Complaint will they arrest him immediately ?
-You can file bigamy case gainst him - IPC 494
No proof is required to file bigamy case.
However to punish him, You have to prove the 2nd marriage.
Do we need to find out the proofs of his marriage ?
To prove him guilty, yes.
What if his second wife and her family are hiding their marriage ?
Try to find proofs of 2nd marriage (witness, marriage registration, invitation card, photographs, priest etc.)